In a multi-factor APT model,the coefficients on the macro factors are often called ______.
A)systemic risk
B)firm-specific risk
C)idiosyncratic risk
D)factor betas
E)none of the above

Question

Quizplus · Accepted Answer

The coefficients on the macro factors in a multi-factor APT model are called factor betas. These betas represent the sensitivity of the security's returns to changes in each macroeconomic factor.

In a Multi-Factor APT Model,the Coefficients on the Macro Factors